Abstract
The relationship between the temporal evolution of the commodity market and the stock market has long term implications for policy makers, and particularly in the case of emerging markets, the economy as a whole. We analyze the complex dynamics of the daily variation of two indices of stock and commodity exchange respectively of India. To understand whether there is any difference between emerging markets and developed markets in terms of a dynamic correlation between the two market indices, we also examine the complex dynamics of stock and commodity indices of the US market. We compare the daily variation of the commodity and stock prices in the two countries separately. For this purpose we have considered commodity India along with Dow Jones Industrial Average (DJIA) and Dow Jones-AIG Commodity (DJ-AIGCI) indices for stock and commodities, USA, from June 2005 to August 2008. To analyse the dynamics of the time variation of the indices we use a set of analytical methods based on recurrence plots. Our studies show that the dynamics of the Indian stock and commodity exchanges have a lagged correlation while those of US market have a lead correlation and a weaker correlation.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Reddy, Y.V., Sebastin, A.: J Altern. Investments 11, 85 (2009). doi:10.3905/JAI.2009.11.3.085
Voss, H., Kurths, J.: Phys. Lett. A 234(5), 336 (1997)
Eckmann, J.P., Kamphorst, S.O., Rullelle, D.: Europhys. Lett. 5, 973 (1987). doi:10.1209/0295-5075/4/9/004
Marwan, N., Romano, M.C., Thiel, M., Kurths, J.: Phys. Rep. 438(5–6), 237 (2007). doi:10.1016/j.physrep.2006.11.001
Pesaran, M., Potter, S.: Nonlinear Dynamics, Chaos and Econometrics. Wiley, New York (1993)
Campbell, J., Lo, A., MacKinlay, A.: The Econometrics of Financial Markets. Princeton University Press, Princeton (1997)
Barnett, W.A., Jungeilges, J.A., Gallant, A., Kaplan, D.T., Hinich, M.J., Jensen, M.J.: A single-blind controlled competition among tests for nonlinearity and chaos. J Econom. 82(1), 157–192 (2000). doi:10.1016/S0304-4076(97)00081-X
Hsieh, D.A.: J. Bus. 62, 339 (1989). doi:10.1086/296466
Hsieh, D.A.: J. Finance 46, 1839 (1991). doi:10.2307/2328575
Scheinkman, J., LeBaron, B.: J. Bus. 62, 311 (1989)
Abhyankar, A., Copeland, L.S., Wong, W.: Econ. J. 105, 864 (1995)
Steurer, E.: Neural Networks in the Capital Markets. Wiley, New York (1995)
Brooks, C.: Appl. Financ. Econ. 6(4), 307 (1996)
Barkoulas, J., Travlos, N.: Appl. Financ. Econ. 8, 231 (1998). doi:10.1080/096031098332998
Opong, K.K., Mulholland, G., Fox, A.F., Farahmand, K.: J. Empir. Finance 6(3), 267 (1999)
Goswami, B., Ambika, G., Marwan, N., Kurths, J.: Phys. A 391, 4364 (2012). doi:10.1016/j.physa.2012.04.018
Hinich, M., Patterson, D.: Economic complexity: chaos, sunspots, bubblesand nonlinearity. In: Barnett W., Geweke J., Shell K. (eds.) International Symposium in Economic Theory and Econometrics, pp. 383–409. Cambridge University Press, Cambridge (1989)
Taylor, M., Peel, D.: J. Int. Money Finance 19, 33 (2000)
Sarno, L.: Appl. Econ. Lett. 7, 285 (2000)
Bierens, H.J.: J. Econom. 77, 379 (1997). doi:10.1016/S0304-4076(96)01820-9
Chortareas, G., Kapetanios, G., Shin, Y.: Econ. Lett. 77, 411 (2002)
Kapetanios, G., Shinn, Y., Snell, A.: J. Econom. 112, 359 (2003)
Baek, E., Brock, W.: Working Paper. Iowa State University and University of Wisconsin at Madison (1992)
Breiman, L., Friedman, J.H.: J. Am. Stat. Assoc. 80(391), 580 (1985)
Crowley, P.M.: Eur. Phys J. - Special Topics 164(1), 67 (2008). doi:10.1140/epjst/e2008-00835-3
Crowley, P.M., Schultz, A.: Int. J. Bifurcat. Chaos 21(4), 1215 (2011). doi:10.1142/S0218127411028957
Donner, R.V., Small, M., Donges, J.F., Marwan, N., Zou, Y., Xiang, R., Kurths, J.: Int. J. Bifurcat. Chaos 21(4), 1019 (2011). doi:10.1142/S0218127411029021
Cross Recurrence Plot Toolbox. http://tocsy.pikpotsdam.de 21-Jul-2009
Voss, H.U., Kolodner, P., Abel, M., Kurths, J.: Phys. Rev. Lett. 83(17), 3422 (1999)
Voss, H., Kurths, J.: Chaos Solitons Fractals 10(4), 805 (1999)
Fraser, A., Swinney, H.: Phys. Rev. A 33, 1134 (1986)
Kennel, M., Brown, R., Abarbanel, H.: Phys. Rev. A 45, 3403 (1992). doi:10.1103/PhysRevA.45.3403
Marwan, N., Kurths, J.: Phys. Lett. A 302(5–60), 299 (2002)
Zbilut, J.P., Webber Jr, C.L.: Phys. Lett. A 171(3–4), 199 (1992). doi:10.1016/0375-9601(92)90426-M
Marwan, N.: Eur. Phys. J. - Special Topics 164(1), 3 (2008)
Marwan, N., Donges, J.F., Zou, Y., Donner, R.V., Kurths, J.: Phys. Lett. A 373(46), 4246 (2009). doi:10.1016/j.physleta.2009.09.042
Donner, R.V., Zou, Y., Donges, J.F., Marwan, N., Kurths, J.: New J. Phys. 12(3), 033025 (2010). doi:10.1088/1367-2630/12/3/033025
Zou, Y., Donner, R.V., Donges, J.F., Marwan, N., Kurths, J.: Chaos 20(4), 043130 (2010). doi:10.1063/1.3523304
Donner, R.V., Heitzig, J., Donges, J.F., Zou, Y., Marwan, N., Kurths, J.: Eur. Phys. J. B 84, 653 (2011). doi:10.1140/epjb/e2011-10899-1
Schinkel, S., Dimigen, O., Marwan, N., Kurths, J.: Phys. Lett. A 373, 2245 (2009). doi:10.1016/j.physleta.2009.04.045
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this paper
Cite this paper
Guhathakurta, K., Marwan, N., Bhattacharya, B., Chowdhury, A.R. (2014). Understanding the Interrelationship Between Commodity and Stock Indices Daily Movement Using ACE and Recurrence Analysis. In: Marwan, N., Riley, M., Giuliani, A., Webber, Jr., C. (eds) Translational Recurrences. Springer Proceedings in Mathematics & Statistics, vol 103. Springer, Cham. https://doi.org/10.1007/978-3-319-09531-8_13
Download citation
DOI: https://doi.org/10.1007/978-3-319-09531-8_13
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-09530-1
Online ISBN: 978-3-319-09531-8
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)